A note on Bayesian nonparametric priors derived from exponentially tilted Poisson-Kingman models

DOI10.1016/J.SPL.2007.04.011MaRDI QIDQ2471248zbMATH OpenOpenAlexFDO

Authors Annalisa Cerquetti

Publication date 22 February 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0703552

zbMATH Keywords

exchangeable random partitionsexponential tiltinginverse Gaussian densityrandom probability measurestempered stable laws

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Random measures (60G57) Bayesian inference (62F15) Nonparametric inference (62G99)

Abstract: We derive the class of normalized generalized Gamma processes from Poisson-Kingman models (Pitman, 2003) with tempered alfa-stable mixing distribution. Relying on this construction it can be shown that in Bayesian nonparametrics, results on quantities of statistical interest under those priors, like the analogous of the Blackwell-MacQueen prediction rules or the distribution of the number of distinct elements observed in a sample, arise as immediate consequences of Pitman's results.

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Cited in

(7)

• Posterior simulation via the exponentially tilted signed root log-likelihood ratio
• Clustering dynamics in a class of normalised generalised gamma dependent priors
• Investigating nonparametric priors with Gibbs structure
• On a class of \(\sigma \)-stable Poisson-Kingman models and an effective marginalized sampler
• A comparison of nonparametric priors in hierarchical mixture modelling for AFT regression
• On a Gibbs characterization of normalized generalized gamma processes
• Bayesian density estimation and model selection using nonparametric hierarchical mixtures

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